Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of
The recent financial crisis highlights the weaknesses of the traditional measures of risk in the banking sector, as Banking Authorities have missed considering the behavioural aspect of the risk culture, which is an essential tool for the value creation process of risk management (Financial Stability Board, 2014; Carretta et al., 2015; Schwizer, 2013; Guiso, Sapienza and Zingales, 2015), usually measured using the survey method.
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